バックテスト
正式Run 73311e72-0d63-4524-b388-ddaf3545c633
正式値を表示。Controlled Replayは研究比較専用。
Portfolio仕様: 最大15銘柄、1 Trade Risk 0.75%。条件を満たす機会がなければCashを保持します。
初期資金
$10,000.00
最終資産
$569,241.41
総リターン
5592.41%
CAGR
6.46%
Sharpe
0.537
Sortino
0.684
最大ドローダウン
-48.31%
最長ドローダウン期間
415週
MAR
0.134
プロフィットファクター
1.560
勝率
38.62%
Trade数
1,981
平均Trade Return
8.34%
Capital Exposure
42.27%
Risk Exposure
7.44%
Equity Curve / Benchmark
IS / OOS / Holdout
| segment | start_date | end_date | cagr | sharpe_ratio | max_drawdown | max_drawdown_duration_weeks | profit_factor | trade_count | win_rate |
|---|---|---|---|---|---|---|---|---|---|
| HOLDOUT | 2013-09-09 00:00:00 | 2026-08-10 00:00:00 | 7.61 | 0.43 | -48.31 | 289.00 | 1.50 | 635 | 33.70 |
| IS | 1962-01-01 00:00:00 | 2000-10-02 00:00:00 | 6.25 | 0.78 | -27.25 | 415.00 | 2.43 | 793 | 41.99 |
| OOS | 2000-10-09 00:00:00 | 2013-09-02 00:00:00 | 5.86 | 0.54 | -29.68 | 304.00 | 1.48 | 553 | 39.42 |
Benchmark成績
| benchmark | segment | start_date | end_date | total_return | cagr | sharpe_ratio | max_drawdown | max_drawdown_duration_weeks |
|---|---|---|---|---|---|---|---|---|
| NASDAQ | HOLDOUT | 2013-09-09 00:00:00 | 2026-08-10 00:00:00 | 618.10 | 16.49 | 0.89 | -35.72 | 119.00 |
| NASDAQ | IS | 1971-02-01 00:00:00 | 2000-10-02 00:00:00 | 3261.01 | 12.58 | 0.75 | -59.44 | 295.00 |
| NASDAQ | OOS | 2000-10-09 00:00:00 | 2013-09-02 00:00:00 | 10.35 | 0.77 | 0.15 | -67.27 | 656.00 |
| SP500 | HOLDOUT | 2013-09-09 00:00:00 | 2026-08-10 00:00:00 | 361.24 | 12.56 | 0.81 | -31.81 | 104.00 |
| SP500 | IS | 1962-01-01 00:00:00 | 2000-10-02 00:00:00 | 1922.67 | 8.07 | 0.60 | -47.99 | 393.00 |
| SP500 | OOS | 2000-10-09 00:00:00 | 2013-09-02 00:00:00 | 20.45 | 1.45 | 0.17 | -56.24 | 319.00 |
| SPY | HOLDOUT | 2013-09-09 00:00:00 | 2026-08-10 00:00:00 | 358.48 | 12.51 | 0.81 | -32.23 | 104.00 |
| SPY | IS | 1993-01-25 00:00:00 | 2000-10-02 00:00:00 | 221.05 | 16.39 | 1.07 | -17.55 | 53.00 |
| SPY | OOS | 2000-10-09 00:00:00 | 2013-09-02 00:00:00 | 20.70 | 1.47 | 0.17 | -55.91 | 323.00 |
取引履歴
| Ticker | エントリー日 | エントリー価格 | 株数 | 初期ストップ | 決済日 | 決済価格 | 決済理由 | リターン % | 損益 | R Multiple | 保有週数 | Total Score |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| DSGX | 2021-07-05 00:00:00 | 70.47 | 458 | 61.45 | 2021-11-29 00:00:00 | 76.77 | TRAILING_STOP | 8.94 | 2884.91 | 0.70 | 21 | 74.50 |
| VICR | 2021-07-05 00:00:00 | 108.72 | 244 | 91.83 | 2021-12-06 00:00:00 | 121.11 | TRAILING_STOP | 11.40 | 3023.36 | 0.73 | 22 | 74.90 |
| EC | 2021-06-28 00:00:00 | 14.90 | 1973 | 12.77 | 2021-07-05 00:00:00 | 14.45 | TRAILING_STOP | -3.01 | -885.29 | -0.21 | 1 | 80.50 |
| EGP | 2021-06-14 00:00:00 | 169.30 | 206 | 147.95 | 2021-09-20 00:00:00 | 168.83 | TRAILING_STOP | -0.28 | -96.07 | -0.02 | 14 | 79.70 |
| GAME | 2021-06-14 00:00:00 | 50.58 | 285 | 35.14 | 2021-07-12 00:00:00 | 37.55 | TRAILING_STOP | -25.76 | -3714.07 | -0.84 | 4 | 88.10 |
| LEG | 2021-05-10 00:00:00 | 58.11 | 303 | 44.83 | 2021-07-12 00:00:00 | 48.15 | STAGE_EXIT | -17.13 | -3015.60 | -0.75 | 9 | 82.40 |
| LFCR | 2021-05-10 00:00:00 | 12.59 | 2299 | 10.83 | 2021-06-21 00:00:00 | 11.23 | TRAILING_STOP | -10.73 | -3105.64 | -0.77 | 6 | 77.40 |
| UPS | 2021-05-10 00:00:00 | 217.94 | 81 | 168.58 | 2021-07-26 00:00:00 | 194.10 | TRAILING_STOP | -10.94 | -1930.34 | -0.48 | 11 | 86.80 |
| FBIN | 2021-04-19 00:00:00 | 88.61 | 302 | 75.14 | 2021-06-21 00:00:00 | 83.06 | STAGE_EXIT | -6.27 | -1678.21 | -0.41 | 9 | 73.60 |
| RYN | 2021-04-19 00:00:00 | 36.86 | 656 | 30.67 | 2021-08-23 00:00:00 | 35.26 | TRAILING_STOP | -4.35 | -1051.00 | -0.26 | 18 | 79.40 |
| PHG | 2021-04-12 00:00:00 | 60.05 | 573 | 53.10 | 2021-05-10 00:00:00 | 54.52 | TRAILING_STOP | -9.21 | -3169.05 | -0.80 | 4 | 71.20 |
| UFPI | 2021-04-05 00:00:00 | 78.55 | 202 | 58.33 | 2021-07-12 00:00:00 | 69.55 | TRAILING_STOP | -11.45 | -1817.26 | -0.45 | 14 | 80.30 |
| DLPN | 2021-03-29 00:00:00 | 31.66 | 177 | 8.39 | 2021-07-19 00:00:00 | 14.97 | TRAILING_STOP | -52.72 | -2954.70 | -0.72 | 16 | 88.30 |
| CUVL | 2021-03-22 00:00:00 | 21.92 | 782 | 16.35 | 2021-06-14 00:00:00 | 21.05 | TRAILING_STOP | -3.98 | -681.86 | -0.16 | 12 | 73.90 |
| PDLB | 2021-03-15 00:00:00 | 9.39 | 2181 | 7.15 | 2021-12-27 00:00:00 | 10.37 | STAGE_EXIT | 10.50 | 2149.51 | 0.44 | 41 | 87.20 |
| BHB | 2021-03-01 00:00:00 | 28.40 | 626 | 22.35 | 2021-06-14 00:00:00 | 28.20 | TRAILING_STOP | -0.69 | -122.19 | -0.03 | 15 | 87.00 |
| DB | 2021-03-01 00:00:00 | 12.61 | 1571 | 10.19 | 2021-07-05 00:00:00 | 12.35 | TRAILING_STOP | -2.04 | -403.87 | -0.11 | 18 | 84.00 |
| TTE | 2021-03-01 00:00:00 | 46.83 | 682 | 41.28 | 2021-06-28 00:00:00 | 45.51 | TRAILING_STOP | -2.82 | -902.18 | -0.24 | 17 | 81.10 |
| YRD | 2021-02-22 00:00:00 | 5.84 | 1535 | 3.52 | 2021-04-05 00:00:00 | 4.07 | TRAILING_STOP | -30.31 | -2717.44 | -0.76 | 6 | 84.70 |
| LEDS | 2021-02-15 00:00:00 | 6.19 | 1279 | 3.31 | 2021-04-12 00:00:00 | 3.82 | TRAILING_STOP | -38.31 | -3034.53 | -0.82 | 8 | 87.20 |
| INUV | 2021-01-25 00:00:00 | 17.84 | 296 | 4.92 | 2021-03-29 00:00:00 | 9.14 | TRAILING_STOP | -48.78 | -2575.17 | -0.67 | 9 | 87.90 |
| YI | 2021-01-25 00:00:00 | 15.01 | 462 | 6.72 | 2021-04-19 00:00:00 | 10.38 | TRAILING_STOP | -30.88 | -2141.06 | -0.56 | 12 | 86.20 |
| INDI | 2021-01-04 00:00:00 | 13.33 | 1091 | 10.34 | 2021-02-15 00:00:00 | 11.26 | STAGE_EXIT | -15.57 | -2265.11 | -0.69 | 6 | 89.20 |
| CRNT | 2020-12-07 00:00:00 | 3.23 | 3695 | 2.35 | 2021-04-19 00:00:00 | 3.47 | TRAILING_STOP | 7.41 | 883.71 | 0.27 | 19 | 83.00 |
| LASR | 2020-11-09 00:00:00 | 31.04 | 317 | 21.99 | 2021-03-22 00:00:00 | 30.34 | TRAILING_STOP | -2.27 | -223.65 | -0.08 | 19 | 90.00 |
| ACU | 2020-10-26 00:00:00 | 27.28 | 568 | 22.24 | 2021-08-02 00:00:00 | 40.69 | TRAILING_STOP | 49.15 | 7616.36 | 2.66 | 40 | 83.00 |
| MATH | 2020-10-26 00:00:00 | 2.72 | 1878 | 1.19 | 2021-02-22 00:00:00 | 2.25 | TRAILING_STOP | -17.15 | -874.81 | -0.31 | 17 | 84.60 |
| CLPT | 2020-10-19 00:00:00 | 8.27 | 711 | 4.22 | 2021-05-10 00:00:00 | 16.55 | TRAILING_STOP | 100.18 | 5888.04 | 2.05 | 29 | 87.90 |
| CTRN | 2020-10-05 00:00:00 | 26.64 | 268 | 16.23 | 2021-07-19 00:00:00 | 78.73 | TRAILING_STOP | 195.51 | 13959.86 | 5.00 | 41 | 80.80 |
| STOK | 2020-09-21 00:00:00 | 36.53 | 239 | 25.15 | 2021-03-15 00:00:00 | 47.97 | TRAILING_STOP | 31.30 | 2732.59 | 1.00 | 25 | 83.70 |
| GME | 2020-09-07 00:00:00 | 1.89 | 3384 | 1.11 | 2021-07-26 00:00:00 | 40.20 | STAGE_EXIT | 2025.52 | 129634.83 | 48.93 | 46 | 82.80 |
| LOB | 2020-09-07 00:00:00 | 23.76 | 303 | 15.04 | 2021-01-25 00:00:00 | 39.77 | TRAILING_STOP | 67.40 | 4851.83 | 1.84 | 20 | 74.80 |
| OMEX | 2020-09-07 00:00:00 | 8.51 | 624 | 4.26 | 2021-03-01 00:00:00 | 6.73 | TRAILING_STOP | -20.88 | -1108.53 | -0.42 | 25 | 81.10 |
| RYTM | 2020-09-07 00:00:00 | 29.94 | 250 | 19.37 | 2020-10-26 00:00:00 | 21.31 | TRAILING_STOP | -28.81 | -2156.24 | -0.82 | 7 | 84.00 |
| CSIQ | 2020-08-31 00:00:00 | 32.51 | 212 | 20.09 | 2021-03-01 00:00:00 | 41.51 | TRAILING_STOP | 27.65 | 1906.22 | 0.72 | 26 | 83.60 |
| UMC | 2020-08-03 00:00:00 | 3.94 | 1965 | 2.58 | 2021-05-10 00:00:00 | 8.33 | TRAILING_STOP | 111.43 | 8622.16 | 3.23 | 40 | 81.80 |
| FORM | 2020-06-22 00:00:00 | 29.02 | 456 | 23.95 | 2020-08-03 00:00:00 | 28.28 | STAGE_EXIT | -2.53 | -334.98 | -0.14 | 6 | 79.40 |
| SFM | 2020-05-11 00:00:00 | 25.51 | 336 | 18.55 | 2020-09-07 00:00:00 | 22.05 | TRAILING_STOP | -13.55 | -1161.27 | -0.50 | 17 | 77.90 |
| ATEX | 2020-04-27 00:00:00 | 53.61 | 232 | 43.49 | 2020-06-22 00:00:00 | 46.69 | TRAILING_STOP | -12.90 | -1604.28 | -0.68 | 8 | 75.30 |
| BTG | 2020-04-27 00:00:00 | 5.51 | 1351 | 3.77 | 2020-11-09 00:00:00 | 6.01 | TRAILING_STOP | 9.15 | 680.89 | 0.29 | 28 | 71.50 |
| GFI | 2020-04-27 00:00:00 | 8.20 | 1011 | 5.88 | 2020-10-26 00:00:00 | 10.93 | TRAILING_STOP | 33.39 | 2766.78 | 1.18 | 26 | 73.20 |
| MESO | 2020-04-27 00:00:00 | 29.06 | 159 | 14.37 | 2020-09-28 00:00:00 | 24.15 | TRAILING_STOP | -16.90 | -780.69 | -0.33 | 22 | 77.00 |
| WMK | 2020-04-27 00:00:00 | 48.73 | 246 | 39.21 | 2020-09-07 00:00:00 | 46.59 | TRAILING_STOP | -4.39 | -525.92 | -0.22 | 19 | 73.60 |
| WST | 2020-04-27 00:00:00 | 196.25 | 52 | 151.75 | 2020-12-07 00:00:00 | 262.94 | TRAILING_STOP | 33.98 | 3467.75 | 1.50 | 32 | 72.40 |
| B | 2020-04-20 00:00:00 | 24.36 | 379 | 18.22 | 2020-10-19 00:00:00 | 26.64 | TRAILING_STOP | 9.38 | 865.57 | 0.37 | 26 | 73.30 |
| FNV | 2020-04-20 00:00:00 | 125.25 | 101 | 102.39 | 2020-09-07 00:00:00 | 140.27 | TRAILING_STOP | 11.99 | 1517.28 | 0.66 | 20 | 71.00 |
| MOH | 2020-04-20 00:00:00 | 168.44 | 62 | 131.34 | 2020-09-07 00:00:00 | 166.19 | TRAILING_STOP | -1.33 | -139.07 | -0.06 | 20 | 72.80 |
| RDY | 2020-04-20 00:00:00 | 10.09 | 1219 | 8.17 | 2021-01-25 00:00:00 | 12.81 | TRAILING_STOP | 26.99 | 3317.85 | 1.42 | 40 | 72.80 |
| DEA | 2020-04-13 00:00:00 | 72.65 | 158 | 58.29 | 2020-05-11 00:00:00 | 59.89 | TRAILING_STOP | -17.56 | -2015.41 | -0.89 | 4 | 75.70 |
| BMRA | 2020-03-23 00:00:00 | 50.18 | 88 | 24.75 | 2020-08-31 00:00:00 | 52.91 | TRAILING_STOP | 5.44 | 240.01 | 0.11 | 23 | 76.50 |